Regulatory Alerts2019-04-08
Comment Template: Draft Joint Standard on Margin Requirements for Non-Centrally Cleared OTC Derivative Transactions
The Financial Sector Conduct Authority and the South African Reserve Bank issued this template to collect stakeholder feedback on a draft joint standard mandating initial and variation margin exchanges for non-centrally cleared over-the-counter derivative transactions. The proposed framework establishes detailed requirements for eligible collateral, phased implementation schedules, and standardized or quantitative measurement methodologies to mitigate counterparty credit risk. Regulators require all submissions to follow the structured paragraph-by-paragraph format to formally shape the final risk mitigation rules.
Ref.: 15/8 Annexure A DRAFT JOINT STANDARD MARGIN REQUIREMENTS FOR NON-CENTRALLY CLEARED OTC DERIVATIVE TRANSACTIONS Comments Template INSTRUCTIONS Please note the following instructions for filling in the template: For referencing purposes please use the numbering as contained in the draft Joint Standard. For comments on the definitions please indicate which definition is being commenting on under the “paragraph” column (see below for an example). For any other general comments, please use Section C. Commentators may insert extra rows to provide comments on subparagraphs or sub-items Please send the completed template, in Word Format, to: FSCA.JointStandardComments@fsca.co.za for the attention of Ms Elmarie Hamman and PA-Standards@resbank.co.za for the attention of Ms Lyle Horsley. Please note that no PDF or scanned documents or any late submissions will be accepted unless agreed to in writing by the Authorities
SECTION A - DETAILS OF COMMENTATOR Name of organisation/individual: If the commentator is an organisation, provide the name and designation of the contact person: Email address: Contact number: SECTION B - COMMENTS ON THE DRAFT JOINT STANDARD No Paragraph of the Standard Comment
- DEFINITIONS
- e.g. definition of “covered entity”
- APPLICATION AND EXCLUSIONS 2.1 GENERAL APPLICATION (1) (2) (3) (4) 2.2 TREATMENT OF INTRA-GROUP TRANSACTIONS (1) (2) (3) 2.3 CROSS-BORDER TRANSACTIONS (1) (2) (3) (4) (5)
COMMENT TEMPLATE – DRAFT JOINT STANDARD ON MARGIN REQUIREMENTS FOR NON-CENTRALLY CLEARED OTC DERIVATIVE TRANSACTIONS No Paragraph of the Standard Comment 3. GENERAL REQUIREMENTS (1) (2) (3) (4) 4. INITIAL MARGIN 4.1 GENERAL (1) (2) (3) 4.2 PHASING IN OF INITIAL MARGIN REQUIREMENTS (1) (2) (3) (4) (5) (6) (7) (8) 4.3 COLLATERAL (1) (2) 4.4 ALTERNATIVE MEASUREMENT METHODOLOGIES (1) (2) (3) 4.5 STANDARDISED METHOD (a) (b) (c) (d)
COMMENT TEMPLATE – DRAFT JOINT STANDARD ON MARGIN REQUIREMENTS FOR NON-CENTRALLY CLEARED OTC DERIVATIVE TRANSACTIONS No Paragraph of the Standard Comment 4.6 Quantitative portfolio margin model (a) (b) (c) (d) 5. VARIATION MARGIN (1) (2) (3) 6. ELIGIBLE COLLATERAL (1) (2) (3) (4) (5) 7. COMMENCEMENT AND SHORT TITLE (1) (2) SECTION C - GENERAL COMMENTS No. Issue Comment/input ANY OTHER GENERAL COMMENTS 1. 2. 3.